We did this in a lab and nothing happened, but I'm pretty sure something was supposed to happen, so my question is:

What happens when you put a pellet of sodiumhydroxide on a watch glass and observe it for 5-10 minutes?

If there were hudidity in the air, it should have absorbed the water .

Absorbed the water in the air? Should have the pellets changed in actual physical or chemical form?

They change physical form. deliquiate is the operative word, you should have seen some of it on the surface.

What does it look like?